| Summary: | 碩士 === 國立臺灣大學 === 國際貿易學系 === 84 === I.Degree of Asian financial market integration 1.The interest
rate differentials in Asian financial market are
heteroskedastic,where Hong Kong,Taiwan,Phillipines,Indonesia
and Thailand fit GARCH(1,1)-M model and Korea,Singapore and
Malaysia fit ARCH(1)-M model. 2.Financial liberalization (for
example:interest rate and credit control deregulation)
decreases the variance of interest rate differential,promotes
the international capital mobility and increases the degree of
financial market integration. 3.The financial markets in Korea,
Hong Kong,Singapore, Taiwan,Philippines and Malaysia are more
integrated with Asian financial market by their liberalization
from 70''s to 90''s; However,those in Indonesia and Thailand are
not so. II.The interst rate spillover effect 1.Both Hong Kong
and Singapore have significent interest rate spillover effects
on other countries.Hong Kong can be seen as the leading index
of Singapore,Taiwan,Malaysia,Indonesia and Thailand and
Singapore the leading index of Hong Kong, Philippines and
Indonesia. 2.Korea and Taiwan have their interest rate
spillover effects mainly on southeastern Asian countries.Korea
can be seen as the leading index of Philippines and Indonesia
and Taiwan the leading index of Hong Kong,Philippines ,Malaysia
and Thailand. 3.Philippines ,Malaysia,Indonesia and Thailand
have little interest rate spillover effects on others.
4.Generally speaking,NIEs(Korea,Hong Kong,Singapore and Taiwan)
have greater interest rate spillover effects on ASEAN
(Philippines,Malaysia,Indonesia and Thailand) and the former
can be seen as the leading index of the latter.
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